Kuan, Grace C.H.; Webber, Nick - Society for Computational Economics - SCE - 2001
In this paper, we describe a numerical method to price barrier options on a zero-coupon bond. The method can be applied … solutions for barrier bond options are available. We give computational examples with the Vasicek and Hull and White model …. Barriers on the underlying zero-coupon bond are transformed to smooth time dependent barriers on the short rate. The first …